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"Liquidity Premia and Transaction Costs" (with Hyeng Keun Koo, Hong Liu and Mark Loewenstein)
Journal of Finance, Vol 62, No 5, 2007, 2329-2366.
"Unemployment Risks and Optimal Retirement in an Incomplete Market" (with Alain Bensoussan and Seyoung Park)
Operations Research, Vol 64, Issue 4, 2016, 1015-1032.
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"Optimal Reinsurance and Portfolio Selection: Comparison between Partial and Complete Information Models" (with Hyun-Tak Lee and Kyeong Tae Kim)
European Financial Management, Vol 28, Issue 1, 2022, 208-232
"Optimal Retirement with Borrowing Constraints and Forced Unemployment Risk" (with Seyoung Park and Huainan Zhao)
Insurance: Mathematics and Economics,Vol 94, Sep. 2020, 25-39.
"Optimal Consumption and Investment with Insurer Default Risk" (with Hyeng Keun Koo and Seyoung Park)
Insurance: Mathematics and Economics, Vol 88, Sep. 2019, 44-56.
"Net Contribution, Liquidity, and Optimal Pension Management" (with Changhui Choi, Changki Kim, and Sang-youn Roh)
Journal of Risk and Insurance, Vol 83, Issue 4, 2016, 913-948.
"Business Cycle and Credit Risk Modeling with Jump Risks" (with Yuna Rhee and Ji Hee Yoon)
Journal of Empirical Finance, Vol 39 (Part A), 2016, 15-36.
"Asset Demands and Consumption with Longevity Risk" (with Hyeng Keun Koo and Yuna Rhee)
Economic Theory, Vol 62, Issue 3, 2016, 587-633.
"Optimal Reinsurance and Asset Allocation under Regime Switching" (with Kyeong Tae Kim)
Journal of Banking & Finance, Vol 56, 2015, 37-47.
"Optimal Retirement with Unemployment Risks" (with Seyoung Park and Yuna Rhee)
Journal of Banking & Finance, Vol 37, Issue 9, 2013, 3585-3604.
"Analytic Valuation Formulas for Range Notes and an Affine Term Structure Model with Jump Risks" (with Ji Hee Yoon)
Journal of Banking & Finance, Vol 34, Issue 9, 2010, 2132-2145.
"A First-Passage-Time Model under Regime-Switching Market Environment" (with Mi Ae Kim and Ho-Seok Lee)
Journal of Banking & Finance, Vol 32, Issue 12, 2008, 2617-2627.
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"Liability-Driven Investment under Inflation Risk" (with Hyeontae Jo, and Myung Jin Kim)
Applied Economics Letters, forthcoming.
"Bitcoin Price Direction Forecasting and Market Variables" (with Taegyum Kim, Hyeontae Jo, and Woohyuk Choi)
Journal of Futures Markets, forthcoming.
"Forecasting Realized Volatility of the Oil Future Prices via Machine Learning" (with Myung Jun Kim, ByungJune Kim, and Taeyoon Kim)
Applied Economics, forthcoming.
"The Effect of Regime-Switching Transaction Costs and Cash Dividends on Liquidity Premia" (with Jiwon Chae and Taeyoon Kim)
International Review of Financial Analysis, Vol 93, May 2024, 103186.
"Analytic Approach for Models of Optimal Retirement with Disability Risk" (with Seyoung Park and Jiwon Chae)
Mathematical Social Sciences, Vol 126, 2023, 68-75.
"Stock Prices, Changes in Liquidity, and Liquidity Premia" (with Hyun-Tak Lee and Bong-Soo Lee)
Finance Research Letters, Vol 48, 2022.
"Ambiguity Premium and Transaction Costs" (with Taeyoon Kim, Seungkyu Lee, and Seyoung Park)
Economics Letters, Vol 207, Oct. 2021.
"Convertible Bond Valuation with Regime Switching" (with Byung-June Kim)
Chaos, Solitons and Fractals, Vol 150, Sep. 2021.
"Annuitization and Asset Allocation with Borrowing Constraint" (with Jin-Gi Kim and Seyoung Park)
Operations Research Letters, Vol 48, Issue 5, Sep. 2020, 549-551.
"Option Pricing with Regime Switching: Integrations over Simplexes Method" (with Hyeon-Wuk Tae)
Finance Research Letters, Vol24, 2018, 301-312.
"Robust Consumption and Portfolio Rules with Time-Varying Model Confidence" (with Seungkyu Lee and Byung Hwa Lim)
Finance Research Letters, Vol 18, Aug. 2016, 342-352.
"Ambiguity and Optimal Portfolio Choice with Value-at-Risk Constraint" (with Seyoung Park)
Finance Research Letters, Vol 18, Aug. 2016, 158-176.
"Psychological Barriers and Option Pricing" (with Changki Kim, Kyeong Tae Kim, Seungkyu Lee and Dong-Hoon Shin)
Journal of Futures Markets, Vol 35, Issue 1, 2015, 52-74.
"Optimal Retirement Strategy with a Negative Wealth Constraint" (with Seyoung Park)
Operations Research Letters, Vol 42, Issue 3, 2014, 208-212.
"A Simple Iterative Method for the Valuation of American Options" (with In Joon Kim and Kyeong Tae Kim)
Quantitative Finance, Vol 13, Issue 6, 2013, 885-895.
"An Analytic Valuation Method for Multivariate Contingent Claims with Regime-Switching Volatilities" (with Kum-Hwan Roh and Ji Hee Yoon)
Operations Research Letters, Vol 39, Issue 3, 2011, 180-187.
"Valuing Qualitative Options with Stochastic Volatility" (with Kum-Whan Roh)
Quantitative Finance, Vol 9, Issue 7, 2009, 819-825.
"A Reflected Diffusion Process in a Regime-Switching Environment" (with Gyoocheol Shim)
Operations Research Letters, Vol 36, Issue 2, 2008, 177-183.
"An Algorithm for Optimal Portfolio Selection Problem with Transaction Costs and Random Lifetimes" (with U Jin Choi and Hyeng Keun Koo)
Applied Mathematics and Computation, Vol 191, No 1, 2007, 239-252.
"Optimal Portfolio Selection with Transaction Costs When an Illiquid Asset Pays Cash Dividends"
Journal of Korean Mathematical Society, Vol 44, No 1, 2007, 139-150.
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"A Financial Information-Based Corporate Credit Rating Model Using Graph Neural Networks" (with Myung Jun Kim, Taegyum Kim, and Youngju Ahn)
Asian Review of Financial Research, forthcoming.
"Calibrating High-dimensional Parameters in Interest Rate Models: Application to the Korean Insurance Capital Standard" (with Seung Min Baik and Changhui Choi)
Journal of Derivatives and Quantitative Studies, Vol 33, Issue 1, 2025, 23-44.
"A Study on the Possible Violations of No Economic Gains Principle by National Heritage Insurance" (with Changhui Choi)
Korean Journal of Insurance, Vol 141, Issue 1, 2025, 69-92.
"Optimal Asset Allocation of Pension Funds with a Portfolio Constraint" (with Jongho Park)
Korean Journal of Financial Studies, Vol 53, Issue 5, 2024, 489-524.
"American Put Options with Regime-Switching Volatility" (with Hyeng Keun Koo)
Journal of Derivatives and Quantitative Studies, Vol 32, Issue 2, 2024, 86-115. (Scopus)
"Goal-Based Asset Allocation with Transaction Costs and Position Limits" (with Doyeon Kim)
Review of Financial Information Studies, Vol 13, Issue 1, Feb. 2024, 1-24.
"Dynamic Asset Allocation for Defined Benefit Retirement Pension" (with Dong Haeng Lee, Ji Hwan Park and Doyeon Kim)
Review of Financial Information Studies, Vol 12, Issue 2, June 2023, 109-133.
"Predicting Korea’s Business-Cycle Regimes using OnBid Auction Data" (with Jin Gi Kim and Hyun-Tak Lee)
Journal of Derivatives and Quantitative Studies, Vol 29, No 2, 2021년 6월, 116-133.
"Optimal Asset Allocation of Pension Funds under a Value-at-Risk Constraint" (with Jiwon Chae)
Korean Journal of Financial Studies, Vol 50, No 1, Feb. 2021, 113-134.
"Study on Barriers to Use Medical Blockchain Business" (with Woong-gi Seo, Junseong Park, Taeyoon Kim, Jiyoung Kwahk, Sung H. Han, Hyeji Jang, Jiwon Chae, Youngin Koh, and Jin Gi Kim)
Journal ofthe Korean Institute of Industrial Engineers, Vol 45, No 6, Dec. 2019.
"The Generation and Analysis of the Interest Rate Shock Scenarios Using DNS model" (with Hyeon-Wuk Tae, Geonyoup Noh, Byung-June Kim, and Kyoung Gook Park)
Journal of Insurance and Finance, Vol 30, No 2, June 2019.
"Life-cycle Asset Allocation with Korean Reverse Mortgages" (with Jin Gi Kim, Snag-Goo Lee, and Seryoong Ahn)
Korean Journal of Insurance, Vol 118, Apr 2019, 1-29
"The Price Impact of NPS in Korean Stock Market and optimal Asset Allocation to Domestic and Foreign Stocks" (with Minjeong Kang and Byung-June Kim)
Korean Journal of Financial Studies, Vol 46, No 5, Dec 2017, 1033-1060.
"The Valuation of Pass-Through Mortgage-Backed Securities in Korean Market" "(with Hyeon-Wuk Tae, Ung-Gi Seo, Jun Kim, Jong-Hyuk Roh, and Seroong Ahn)
Korean Journal of Futures and Options, Vol 25, No 3, Aug 2017, 305-337.
"Permanent and Transitory Components of Seoul Apartment Prices" (with Jin Gi Kim and Hyun-Tak Lee)
Journal ofKorean Real Estate Analysis Association, Vol 23, Mar 2017, 19-37.
"A Study on discount Rates for Fair Valuation of Insurance Liabilities" (with Geonyoup Noh and Hyeon-Wuk Tae)
Korean Insurance Academic Society, Vol 107, July 2016, 75-108.
"Time Variation of the Permanent and Temporary Shocks in Seoul Apartment Markets" (with Eunyoung Kim and Hyun-Tak Lee)
Korean Association of Financial Engineering, Vol 15, No 2, 2016, 1-28.
"Generating an Optimal Auto-Insurance Rate with the Consideration of Population Change" (with Changhui Choi)
Journal of Insurance and Finance, Vol 27, No 2, 2016, 81-109.
"Changes in Interest Rate Term Structures and Derivatives-Linked Securities" (with Hyeon-Wuk Tae and Sang-Gyu Lim)
Korean Journal of Financial Studies, Vol 44, No 5, 2015, 947-995.
"Portfolio Management with the Business Cycle and Bayesian Learning" (with Seyoung Park, Hyun Tak Lee, and Yuna Rhee)
Journal of the Korean Operations Research and Management Science Society, Vol 39, No 2, 2014, 49-66.
"When Do the Unemployed Jump in the Workforce?" (with Seungkyu Lee, and In Joon Kim)
Journal of the Korean Institute of Industrial Engineers, Vol 38, No 4, 2012, 244-248.
"An Iterative Method for American Put Option Pricing under a CEV model" (with Seyoung Park)
Management Science & Financial Engineering, Vol 18, No 2, 2012,1-4.
"Stock Returns and Market Making with Inventory" (with Seyoung Park)
Management Science & Financial Engineering, Vol 18, No 2, 2012,1-4.
"The Behavior of the Term Structure of Interest Rates with the Markov Regime Switching Models" (with Yuna Rhee, Seyoung Park, and Jong Oh Choi)
Journal of the Korean Institute of Industrial Engineers, Vol 36, No 3, 2010, 203-211.
"When Do the Unemployed Jump in the Workforce?" (with Hyun Tak Lee and Seyoung Park)
Management Science & Financial Engineering, Vol 19, No 2, 2013,43-47.
"Stochastic Behavior of Commodity Prices: The Valuation of Derivative-Linked Securities" (with Sang-Gyu Lim and Ho-Seok Lee)
Korea Derivatives Association, Vol 17, Issue 1, 2009, 51-75.
"Identifying the Factors That Affect Interest Rate Swap Spreads: Evidence from Korea" (with Sang-Gyu Lim)
Korean Industrial Economic Association, Vol 20, Issue 3, 2007, 1105-1129.
"Transaction Costs and Asset Valuation " (with Hyeng Keun Koo and U Jin Choi)
Review of Accounting and Finance, Vol 3, No 4, 2004, 99-111.
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"MAP4TS: A Multi-Aspect Prompting Framework for Time Series Forecasting with Large Language Models" (with Suchan Lee, Jihoon Choi, Sohyeon Lee, Minseok Song, Hwanjo Yu, and Caren Han).
"Advancing Yield Curve Forecasting: Deep Learning Nelson-Siegel Models and Macroeconomic Insights" (with Hyeontae Jo, Youngju Ahn, and Myung Jun Kim).
"Asset Returns and Regime-Switching Consumption-Wealth Ratio" (with Qi Li, Di Luo, Seyoung Park, Huainan Zhao), under revision for the 2nd round review (Quantitative Finance).
"Household Consumption and Size Structure of Rent" (with Hyun-Tak Lee, Gum-Hwan Roh, and Yong Hyun Shin).
"Optimal Reinsurance and Asset Allocation with Correlation Risks" (with Alain Bensoussan, Jin-Gi Kim, and Suengkyu Lee).
"Herding in Cryptocurrency Market and COVID-19: Spillover Effects and Fundamental Information" (with Daeyoung Jeon, Changeun Kim, and Jongho Park).
"Optimal Retirement with Disability Risk" (with Jiwon Chae and Seyoung Park).
"Temporary Layoffs, Reentry and Optimal Retirement" (with Shan Huang, and Seyoung Park)
"Does It Pay to Go Outside Your Comfort Zone?" (with Phillip H. Dybvig and Hyeng Keun Koo)
"Involuntary Unemployment Due to Permanent Disability Risk and Unemployment Insurance Design" (with Jiwon Chae and Doyeon Kim)
"Old-Age Inequality with Longevity Extension from Preventive Healthcare" (with Hyeontae Jo, Byung-June Kim, and Taeyoon Kim)
"Short-Term Market Changes and Market Making with Inventory" (with Jin-Gi Kim, Sam Beatson, Hoseok Lee, and Seyoung Park)
"Liquidation Shocks and Transaction Costs" (with Hyeng Keun Koo and Seungkyu Lee), Accepted by the 2015 China International Conference in Finance (CICF).
"Market Capitalization, Corporate Payouts, and Expected Returns" (with Bong-Soo Lee and Hyun-Tak Lee)
"Entrepreneurial Business Plan under Undiversifiable Idiosyncratic Risk" (with Hyun-Tak Lee and Seyoung Park)
"A Lattice Method for Lookback Options with Regime-Switching Volatility" (with Ji Hee Yoon, U Jin Choi and Byung Hwa Lim)
"Deep Learning Approach for Solving Implicit Form of Hamilton-Jacobi-Bellman Equation with Stochastic Jumps" (with Jongho Park)
"How Should Individuals Make a Retirement Plan in the Presence of Mortality Risks and Consumption Constraints" (with Taeyong Kim, Seungkyu Lee and Hyeon-Wuk Tae)
"A Consensus-Bottleneck Asset Pricing Model" (with Younwoo Jeong, and Changeun Kim)
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[국내출원] "토큰증권 기반 부동산 프로젝트파이낸싱 자금조달 및 유동화 플랫폼(Security Token based Real Estate Project Financing and Securitization Platform)", 출원번호: 10-2023-0115623 (장봉규, 안영주, 박종호, 박용헌), 2023-08-31.
[국내출원] "토큰증권 기반의 부동산 디지털 증권 거래 및 임대 계약 중개 플랫폼(Security Token based Real Estate Digital Securities Trading and Rental Contract Broker Platform)", 출원번호: 10-2023-0115610 (장봉규, 안영주, 전대영, 김창은), 2023-08-31.
[국내출원] "블록체인 기반 온라인 전자 상거래 플랫폼에서의 환불 보험 및 보험금 산출 모델(Blockchain based refund insurance and insurance calculation model in e-commerce platform)", 출원번호: 10-2023-0001094 (장봉규, 김민주, 조현태, 안영주), 2023-01-04.
[국내출원] "블록체인 기반 보험 플랫폼 서비스 시스템 및 방법(Blockchain based insurance platform service system and method)”, 출원번호: 10-2021-0046364 (김도연, 김명준, 김창헌, 조성진, 장봉규), 대한민국, 2021.04.09.
[국내출원] “점프 모델을 활용한 비즈니스 모델의 가치 평가 방법 및 이의 장치(Method and Apparatus of Valuation of Business Model”, 출원번호: 10-2020-0068765 (김도연, 김명준, 김창헌, 장봉규), 대한민국, 2020.06.08.
[국내등록] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 등록번호: 10-20926030000 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2020.03.18.
[국내출원] “블록체인에 기반한 콘텐츠의 번역 지원 시스템, 방법 및 컴퓨터로 독출가능한 기록 매체(System, Method of Supporting Translation of Content Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0077136 (한성호, 장봉규, 정다운, 장혜지, 김병준, 채지원, 고영인, 곽지영), 대한민국, 2019.06.27.
[국내출원] “블록체인에 기반한 자동차 보험금 자동 지급 시스템, 방법 및 컴퓨터로 독출 가능한 기록 매체(System and Method of Automatic Payment of Insurance Being Based on Blockchain, and Computer Readable Medium)”, 출원번호: 10-2019-0041523 (한성호, 곽지영, 장봉규, 장혜지, 정동영, 채지원, 박준성, 김진기, 서웅기, 김태윤, 고영인, 김병준), 대한민국, 2019.04.09.